Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0437
Annualized Std Dev 0.2069
Annualized Sharpe (Rf=0%) 0.2113

Row

Daily Return Statistics

Close
Observations 3714.0000
NAs 1.0000
Minimum -0.1189
Quartile 1 -0.0045
Median 0.0007
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0056
Maximum 0.1137
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0130
Skewness -0.3733
Kurtosis 13.3485

Downside Risk

Close
Semi Deviation 0.0095
Gain Deviation 0.0095
Loss Deviation 0.0110
Downside Deviation (MAR=210%) 0.0140
Downside Deviation (Rf=0%) 0.0094
Downside Deviation (0%) 0.0094
Maximum Drawdown 0.6511
Historical VaR (95%) -0.0185
Historical ES (95%) -0.0325
Modified VaR (95%) -0.0190
Modified ES (95%) -0.0295
From Trough To Depth Length To Trough Recovery
2007-06-04 2009-03-09 2013-04-30 -0.6511 1488 445 1043
2020-01-17 2020-03-23 2021-03-15 -0.4134 291 45 246
2018-01-29 2018-12-24 2020-01-14 -0.2117 494 229 265
2014-12-30 2016-01-20 2016-07-08 -0.1726 384 266 118
2013-05-22 2013-06-24 2013-07-15 -0.0612 37 23 14

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 0.8 -0.5 0.2 -0.4 -0.2 -0.1 -0.3 -0.6
2007 0.6 -0.2 -0.2 0.3 0.3 -0.2 1.1 0.8 1.8 -2.5 1.3 -0.3 2.7
2008 2.4 -2.8 4.3 2.6 -0.5 0.6 -0.3 -0.8 0.8 1.6 -10.1 2.4 -0.5
2009 -3.2 -2.8 1.8 0.4 3.5 0.9 -0.3 -1.5 -1.8 -2.1 1.6 -1.1 -4.8
2010 0.9 1 0.7 -1.1 -1.6 -0.3 0 2.5 0.3 -0.3 2.1 -0.1 4.2
2011 1.3 -1.2 0.3 0.2 -1.8 1.4 -0.3 -0.9 -1.5 -2.2 -0.2 -0.2 -5.1
2012 1 0.4 0.4 0.2 -2 2.2 0.1 0.2 0 0.8 0.3 1.6 5.3
2013 0.8 0.2 -0.5 -1 -1.3 0.4 1.3 -0.3 0.5 0.4 -0.2 0.2 0.5
2014 -0.2 0.5 0.2 -0.1 0.3 0.2 -0.1 0.4 -1 0.7 0 -1 -0.1
2015 -1.3 -0.1 -0.4 0.8 -0.3 0.5 0 -2.8 -0.4 0.3 0.9 -0.7 -3.4
2016 0.6 1.4 0.2 -0.5 0 0.2 -0.8 0 0.8 -1.1 -0.4 -0.4 0
2017 -0.5 0.8 0 -0.3 1.1 0.3 -0.1 0.6 -0.1 0.1 -0.3 -0.4 1.2
2018 -0.4 -0.7 1.2 -0.5 0.4 0.1 -0.9 -0.2 0.5 0.9 0.6 0.5 1.6
2019 0 0.8 1.1 -0.9 -1.1 0.7 -0.8 0.5 -1.4 1.6 -0.5 0.5 0.4
2020 -1.5 -1.7 -4.8 -3.8 0.6 0.1 -0.5 0 -0.4 -0.4 0.8 0.6 -10.8
2021 0.8 1.4 0 NA NA NA NA NA NA NA NA NA 2.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-06-16  50.1 SPY    125. -0.0073 -0.00120  -0.013   -0.0415   0.0313    0.232  -0.0071 GLD    57.7  0.0063  -0.0458
2 2006-06-19  49.7 SPY    124. -0.0079 -0.0026   -0.0201  -0.0517   0.019     0.218  -0.0176 GLD    56.4 -0.0229  -0.0611
3 2006-06-20  49.7 SPY    124.  0.0034  0.0126   -0.0237  -0.0424   0.0222    0.241  -0.0057 GLD    57.3  0.0167   0.0247
4 2006-06-21  50.1 SPY    125.  0.0074  0.0122   -0.0089  -0.0412   0.0291    0.257   0.0247 GLD    58.3  0.018    0.0487
5 2006-06-22  49.8 SPY    124. -0.0044 -0.0132   -0.0057  -0.0434   0.0238    0.265   0.0214 GLD    57.7 -0.0103   0.0072
6 2006-06-23  49.6 SPY    124. -0.0002 -0.0017   -0.0137  -0.0443   0.0382    0.263   0.0262 GLD    58.0  0.0045   0.0054
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart